Re: [Gretl-users] Variable selection

My comments were made in the context of the inclusion of some thing like STEPLS in gretl. As far as I know STEPLS is an eviews instruction which implements stepwise regression with various options (t-stats, p-values, forward selection, backward selection, combinatorial selections etc.). It does not cover the more recent methods mentioned by Sven. My advice to any economist who wishes to use a procedure such as the eviews STEPLS is simply don't as it never produces valid inference. OLS and many other econometric techniques can be abused but when used properly do produce valid inference. My own opinion is that the inclusion of these stepwise procedures in various econometric packages has, over the years, arisen to some extent from the demands of those who do not understand the difficulties. Perhaps I feel strongly about this because I have been outvoted on several occasions by economists after invalid inferences had been made using stepwise procedures. While I mentioned LSE (Hendry's) general to specific (GETS) I am not advocating a return to strict LSE econometric methodology. At least the initial steps (as I understand it) are based on economic theory and it is a methodology of model selection and validation rather than one of model search, Validation of models uncovered by search techniques must be validated by a new and independent data sample. Generally such a new sample is not available in economics as therefore validation of models uncovered by search techniques is not possible I would add that the eviews manual section for STEPLS ends with the warning( http://www.eviews.com/help/helpintro.html#page/content%2FRegress2-Stepwis... ) " Invalid inference is but one of the reasons that stepwise regression and other variable selection methods have a large number of critics amongst statisticians. Other problems include an upwardly biased final R-squared, possibly upwardly biased coefficient estimates, and narrow confidence intervals. It is also often pointed out that the selection methods themselves use statistics that do not account for the selection process." John C Frain 3 Aranleigh Park Rathfarnham Dublin 14 Ireland www.tcd.ie/Economics/staff/frainj/home.html mailto:frainj@tcd.ie mailto:frainj@gmail.com On Sun, 17 Jun 2018 at 16:11, Sven Schreiber <svetosch(a)gmx.net&gt; wrote: